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dc.contributor.author Gallant, AR
dc.contributor.author Tauchen, G
dc.date.accessioned 2010-06-28T18:59:01Z
dc.date.issued 1997-12-01
dc.identifier.citation Macroeconomic Dynamics, 1997, 1 (1), pp. 135 - 168
dc.identifier.issn 1365-1005
dc.identifier.uri http://hdl.handle.net/10161/2590
dc.description.abstract Efficient Method of Moments is used to estimate and test continuous-time diffusion models for stock returns and interest rates. For stock returns, a four-state, two-factor diffusion with one state observed can account for the dynamics of the daily return on the S&P Composite Index, 1927-1987. This contrasts with results indicating that discrete-time, stochastic volatility models cannot explain these dynamics. For interest rates, a trivariate Yield-Factor Model is estimated from weekly, 1962-1995, Treasury rates. The Yield-Factor Model is sharply rejected, although extensions permitting convexities in the local variance come closer to fitting the data.
dc.format.extent 135 - 168
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Macroeconomic Dynamics
dc.title Estimation of continuous-time models for stock returns and interest rates
dc.type Journal Article
dc.department Economics
pubs.issue 1
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Faculty
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 1

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